Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0218
Annualized Std Dev 0.2328
Annualized Sharpe (Rf=0%) 0.0937

Row

Daily Return Statistics

Close
Observations 3685.0000
NAs 1.0000
Minimum -0.1375
Quartile 1 -0.0059
Median 0.0009
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0075
Maximum 0.0930
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0147
Skewness -1.2583
Kurtosis 10.2584

Downside Risk

Close
Semi Deviation 0.0113
Gain Deviation 0.0089
Loss Deviation 0.0129
Downside Deviation (MAR=210%) 0.0157
Downside Deviation (Rf=0%) 0.0112
Downside Deviation (0%) 0.0112
Maximum Drawdown 0.7435
Historical VaR (95%) -0.0220
Historical ES (95%) -0.0384
Modified VaR (95%) -0.0257
Modified ES (95%) -0.0648
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 NA -0.7435 3455 443 NA
2007-02-27 2007-03-05 2007-03-21 -0.1006 17 5 12
2006-07-05 2006-07-19 2006-07-31 -0.0410 13 7 6
2006-08-22 2006-09-11 2006-09-22 -0.0320 23 14 9
2007-05-08 2007-05-10 2007-05-18 -0.0235 9 3 6

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA 4.2 -0.1 0.6 -0.1 0 0.6 -0.3 4.9
2007 0.6 -1.4 0.5 0.3 0.4 -0.3 0.8 1.8 0.2 -2.3 0.4 -1.6 -0.7
2008 1.4 -2.1 2.1 0.9 -0.3 -2.3 0.6 -0.4 -0.8 -0.3 -5.9 1.5 -5.7
2009 -0.4 -0.9 1.8 1.9 2.8 -1.3 1.5 -2.7 -2.2 -4.3 2.7 -0.8 -2.3
2010 1 -0.7 2.1 -0.7 0.7 0.6 0.4 1.6 1.4 -1.6 3.1 1.4 9.6
2011 1.9 1.5 -0.3 0.9 -0.5 0.9 -1.6 -1.5 -2.6 -3.5 -1.1 0.3 -5.6
2012 1.3 0.6 0.9 1.6 -2.9 5.1 0.5 0.8 0.5 0.8 0.5 2.3 12.6
2013 1.6 -0.9 -0.3 -0.3 -1.5 0.8 1 -0.8 1 -0.6 0.5 0.5 1.1
2014 -1.2 1 1.4 -0.3 0.3 0.9 -1 -0.3 -1.3 0.9 0 -0.8 -0.4
2015 -0.5 0.4 0.6 0.4 -0.6 0.3 0.6 -2 0.4 0.4 1.3 -1.2 0.2
2016 0.6 2.4 -0.3 0.4 0 0.3 -1.5 1.5 1 -0.1 0.4 0.6 5.4
2017 0.8 0.6 0.4 0.4 0.9 0.6 0.4 0.6 1 0.1 -0.1 0.4 6.5
2018 0.7 -0.9 0.6 -0.4 0.8 0.8 -0.3 -0.5 0.2 2.4 -0.7 0.9 3.5
2019 -0.3 1.4 1.4 -0.6 -0.5 0.3 -0.8 0.4 -0.6 1.3 -0.2 0.9 2.9
2020 -0.8 -0.2 -3.9 -2 2.1 0.4 -1.5 -0.1 1.1 0.7 3.1 -0.4 -1.8
2021 1.4 1.7 0.3 NA NA NA NA NA NA NA NA NA 3.4

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart